[Returnanalytics-commits] r2119 - pkg/FactorAnalytics/R

[noreply at r-forge.r-project.org]

Author: chenyian
Date: 2012-07-07 07:34:23 +0200 (Sat, 07 Jul 2012)
New Revision: 2119

Added:
   pkg/FactorAnalytics/R/factorModelRiskAttribution.r
Log:


Added: pkg/FactorAnalytics/R/factorModelRiskAttribution.r
===================================================================
--- pkg/FactorAnalytics/R/factorModelRiskAttribution.r	                        (rev 0)
+++ pkg/FactorAnalytics/R/factorModelRiskAttribution.r	2012-07-07 05:34:23 UTC (rev 2119)
@@ -0,0 +1,59 @@
+# Yi-An Chen
+# July 5, 2012
+
+factorModelRiskAttribution <- 
+  function(fit) {
+    class = class(fit,benchmark,start,end,Full.sample=TRUE)
+  # input
+ # class:   Class has to be either MacroFactorModel, FundmentalFactorModel
+ #          or StatFactorModel 
+ # benchmark: benchmark returns, default is equally weighted portfolio   
+ # start :  Start of trailling period. 
+ # end   :  End of trailling period.  
+ # Full.sample: Is full sample included in the analysis. Default is TRUE.   
+  
+ # output
+ # class of "FMattribution" 
+ #    
+ # plot.FMattribution     
+ # summary.FMattribution    
+ # print.FMattribution    
+  if (class !="MacroFactorModel" && class !="FundmentalFactorModel"
+      && class != "StatFactorModel")
+    {
+    stop("Class has to be either MacroFactorModel, FundmentalFactorModel
+         or StatFactorModel")
+  }
+    # get portfolio names and factor names
+    manager.names = colnames(fit.macro$ret.assets)
+    factor.names  = colnames(fit.macro$factors)
+    
+  # beginning of switching  
+    switch(class,
+    MacroFactorModel={ 
+      for (i in manager.names) {
+      
+      total.ret = fit$ret.assets
+      total.sd = sd(total)
+      active.ret = benchmark - fit$ret.assets
+      active.sd = ad(active)
+      expected.active.ret = beta.mat%*%fit.macro$factors - benchmark
+      exceptional.active.ret = active- expected.active.ret
+      Market.timing
+      Risk.indexes
+      Industries
+      Asset.selection
+      Trading
+      Transaction.cost
+      }
+        
+        },       
+    FundmentalFactorModel={
+      print("test 2")
+    },
+    StatFactorModel={
+      
+    }       
+           
+           )
+  }
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